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Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
16 references·10 citing·37 second hop
Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach (2015)Global minimum variance portfolio optimis…Theory and Applications of Robust Optimization (2010)Theory and Applications of Ro…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…Robust solutions of uncertain linear programs (1999)Robust solutions of uncertain…Robust Convex Optimization (1998)Robust Convex OptimizationCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Recent developments in modeli…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection pr…Portfolio Optimization for Sustainable Investments (2022)Portfolio Optimization for Su…Dynamic large financial networks via conditional expected shortfalls (2021)Dynamic large financial netwo…Robust consensus models based on minimum cost with an application to marketing plan (2019)Robust consensus models based…Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review (2019)Improved Covariance Matrix Es…Long-Run Wavelet-Based Correlation for Financial Time Series (2018)Long-Run Wavelet-Based Correl…Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (2018)Data-driven robust mean-CVaR …Asset allocation with correlation: A composite trade-off (2017)Asset allocation with correla…Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios (2016)Multivariate dependence and p…Robust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm (2015)Robust multi-period portfolio…Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Adjustable robust solutions of uncertain linear programs (2004)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Fuzzy sets (1965)Advances in prospect theory: Cumulative representation of uncertainty (1992)Chapter 18 A survey of behavioral finance (2003)Measuring Expectations (2004)“Economic man” in cross-cultural perspective: Behavioral experiments in 15 small-scale societies (2005)Theory of games and economic behavior (2019)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Coherent Measures of Risk (1999)Recent advances in robust optimization: An overview (2013)Distributionally Robust Convex Optimization (2014)PORTFOLIO SELECTION* (1952)Robust performance hypothesis testing with the Sharpe ratio (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1998Robust Convex Optimization2,606 cited
  • 2010Theory and Applications of Robust Optimization2,515 cited
  • 1999Robust solutions of uncertain linear programs1,832 cited
  • 1992Recent developments in modeling preferences: Uncertainty and ambiguity1,795 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited

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  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • Cited by

    • 2016Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios56 cited
    • 2018Data-driven robust mean-CVaR portfolio selection under distribution ambiguity53 cited
    • 2019Robust consensus models based on minimum cost with an application to marketing plan46 cited
    • 2022Robust portfolio selection problems: a comprehensive review43 cited
    • 2022Portfolio Optimization for Sustainable Investments40 cited
    • 2018Long-Run Wavelet-Based Correlation for Financial Time Series39 cited
    • 2015Robust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm38 cited
    • 2017Asset allocation with correlation: A composite trade-off38 cited
    • 2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review28 cited
    • 2021Dynamic large financial networks via conditional expected shortfalls22 cited